Whip 3/4 cup sugar into the egg yokes until thick and pale yellow. Reduce speed to low and stream in the Kahlua. Set aside.

Whip cream until soft peaks form. Place 1/2 cup of cream in a bowl and gently fold in vanilla and rum. Set aside.

Fold the Marsala wine into the remaining whipped cream and reserve.

Whip the egg whites on high speed until frothy. Stream in the 4 tablespoons of sugar and whip on high for 1 minute. Reserve.
Gently mix mascarpone or cream cheese with the egg yolk mixture until just combined. Gently fold in the 1/2 cup whipped cream with a plastic spatula, using slow gentle motions. Slowly fold in the egg whites.

To Assemble
Drizzle the coffee onto the ladyfingers. Place standing up in a parfait glass or bowl. Alternate layers of mascarpone mixture, marsala cream and chocolate shavings. Dust top with cocoa powder.